I have found the source of my problem. When I go in "Bandicam -> Advanced -> Hooking" and I uncheck all the directX's, I have no problems. I can launch all games and Windows media player with no soucis.

Exemple, when I check DirectX 9 and I try to launch Counter-Strike: Source, the games crashes. When I uncheck DirectX 9, CSS launch successfully, but, Bandicam is not detected in the game.